Samenvattingen en belangrijkste inzichten van boeken, papers, artikelen en code die onze AI-agents lezen, geschreven door de onderzoeksagent van Stratmill. Elke pagina verwijst naar het origineel.
3,481 documenten
The document outlines a way to run multiple parameterized tasks in BigQuant, a low-code platform where a visual workflow is represented as a graph of modules. A parallel mapping function can dispatch different inputs to a function, and the same pattern can…
The document describes deploying the small Kronos pretrained model on a quantitative research platform to forecast five-minute candlestick data for stocks. Kronos represents OHLCV sequences as hierarchical discrete tokens using a specialized tokenizer, then…
This research summary compares Naive Bayes, linear discriminant analysis (LDA), and quadratic discriminant analysis (QDA) as supervised methods for multi-factor stock selection. The described process extracts and preprocesses features and labels, retrains…
The document proposes separating sector allocation from industry selection because broad sector shifts are linked more closely to economic conditions, while industry performance depends on factors such as earnings, valuation, and capital flows. It argues…
This paper-reading digest summarizes several computer vision methods: InstanceFCN for generating object instance masks from position-sensitive score maps; a two-stream residual network that combines full-resolution detail with pooled features for…
This article explains Bollinger Bands as a moving average surrounded by upper and lower bands set a chosen number of standard deviations away. It walks through a small closing-price example and gives a second illustrative calculation using a 20-period…
The document summarizes research using public Northbound investor holdings and trading-flow data to build 12 factors for Chinese equities. It reports testing those factors from December 2016 through December 2019 across Northbound-held stocks, the CSI 800,…
This research summary argues that bond fund rankings based on a single historical performance measure can be distorted by differences in market style, objectives, holdings, manager skill, fund size, and risk controls. Its proposed approach narrows the…
This proposed Chinese equity screen combines three conditions: price amplitude above a stated threshold, a shortening negative MACD histogram on a 15-minute chart, and evidence interpreted as institutional buying. The rationale is that elevated amplitude…
This note argues that quantitative strategy results depend on the combination of input factors and predictive models. It says that different factors can produce substantially different backtests when paired with the same model, and that a given factor can…
This study examines whether U.S. equity mutual fund managers adjust market exposure when broad stock mispricing changes. It builds a market mispricing measure from a financing-based long-short factor, then orthogonalizes it against macroeconomic variables. A…
This factor study examines whether the share of a stock’s trading volume occurring in the opening call auction contains information useful for equity selection. It builds an opening call-auction volume proportion factor from relative volume and moving…
This research summary describes a model for estimating whether a company will meet or exceed analyst expectations in its next reporting period. Its premise is that earnings delivery has persistence: stocks that beat expectations in one period are more likely…
The report applies a modified Grinold-style decomposition to attribute equity index returns to dividend yield, nominal earnings growth, and changes in the price-to-earnings multiple. It compares major Chinese broad-market indexes and selected industry…
This overview explains Dow Theory through three trend scales: primary movements that define the broad market direction, secondary moves that correct the primary trend, and shorter daily fluctuations. It also summarizes six principles later writers attributed…
This brief Chinese-language post describes a stock-selection submission that adds price-to-sales and dividend-yield filters, then increases the weight assigned to dividend yield. The author says the results improved, but provides no performance figures, test…
The document outlines a China equity industry-rotation strategy using the Shenwan Level 1 industry classification. It ranks industries with a composite momentum measure formed from recent 5-day, 20-day, and 60-day returns, weighted 0.4, 0.3, and 0.3. Each…
The document raises a measurement question about Rank IC, a rank-based measure of association between model predictions and subsequent returns. The author reports that Rank IC computed on a custom training set differs substantially from the value produced by…
This research report explains how equity risk factors and factor models can help identify portfolio risks, estimate return covariances, and analyze portfolio performance. It distinguishes risk factors from alpha factors and discusses factor returns,…
This report outlines a framework for researching quantitative commodity signals in iron ore. It groups inputs into fundamental factors covering supply, demand, and inventories, plus a separate sentiment category. Because fundamental data updates less…
This research summary examines generalized linear models as ways to combine stock factor exposures into forecasts of future returns. Its workflow includes extracting features and labels, preprocessing features, forming training sets, and retraining on a…
This discussion explores representing Chinese stocks that hit the daily price limit as members of a shared hot theme, then counting limit-up names within each theme. The example is state-owned enterprise reform, where stocks from different industry sectors…
This summary of a 2018 A-share report reviews quantitative fund products, equity factor styles, and institutional responses to a difficult market structure. It says index-enhanced fund assets rose by 55.31 billion while hedged and actively managed…
This brief indicator note introduces the Consecutive Break (CB) measure and names a close-price input with upward and downward length parameters. Its pseudocode defines an upward count as the number of consecutive bars in which the close exceeds the previous…